Yes, I realize he is talking about index funds vs high cost mutual funds or paying an adviser for stock picks. And I agree that direct investing in stocks should be superior to high-cost mutual funds. (In fact, even if we did believe in the EMH, that would only mean the expectation is roughly the same as an index fund, just with a lot more volatility.)

Still, the default advice of the supposed world's greatest stock picker is to stick with index funds. It's not, "Here are my rules of thumb for picking great stocks," or something along those lines. (I strongly suspect that Graham's advice would have been the same if index funds had been an option in his time.) That suggests to me that at the very least, he clearly believes that picking stocks is difficult. So sure, Warren Buffet, someone who you would expect to be highly biased toward stock picking, doesn't completely rule it out. But he doesn't endorse it in general either.